We exploit the 2007 private label securitization (PLS) freeze as a quasi-experiment to study the impact of a negative credit supply shock on home purchases and borrowing behavior. Using a difference-in-differences estimator, we show that a negative supply shock to first-lien mortgages has little impact on the volume of purchases financed with a mortgage, but significantly reduces the average first-lien loan balance. Much of this reduction in loan balances is the result of increased bunching at the conforming loan limit that is achieved through a combination of greater second mortgage utilization and larger downpayments. Importantly, we find significant heterogeneity in the response to the mortgage supply shock across borrower characteristics and house price levels. Home purchase volume does decline after the shock for less creditworthy borrowers and in expensive locations. The reduction in first-lien balances is fairly uniform across borrower types, however, the effect is slightly more acute in less expensive areas. Our results suggest that financial market frictions (e.g., downpayment constraints, imperfect credit) play an important role in determining how credit supply shocks impact housing purchases and borrowing behavior.

中文翻译：

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信贷供给冲击、购房量和借贷行为

我们利用 2007 年自有品牌证券化 (PLS) 冻结作为准实验来研究信贷供应负冲击对购房和借贷行为的影响。使用双重差分估计量，我们发现第一留置权抵押贷款的负供给冲击对抵押贷款融资的购买量影响不大，但显着降低了平均第一留置权贷款余额。贷款余额的减少很大程度上是由于通过提高第二抵押贷款利用率和增加首付来实现符合贷款限额的捆绑增加。重要的是，我们发现不同借款人特征和房价水平对抵押贷款供应冲击的反应存在显着异质性。对于信誉较差的借款人和昂贵地区的购房量来说，在冲击之后确实有所下降。第一留置权余额的减少在不同类型的借款人中相当一致，但是，在成本较低的地区，这种影响稍微严重一些。我们的研究结果表明，金融市场摩擦（例如，首付限制、不完善的信贷）在决定信贷供应冲击如何影响住房购买和借贷行为方面发挥着重要作用。